Altermatt, Lukas and Iwasaki, Kohei and Wright, Randall (2021) Asset Pricing in Monetary Economies. Journal of International Money and Finance, 115. p. 102352. DOI https://doi.org/10.1016/j.jimonfin.2021.102352
Altermatt, Lukas and Iwasaki, Kohei and Wright, Randall (2021) Asset Pricing in Monetary Economies. Journal of International Money and Finance, 115. p. 102352. DOI https://doi.org/10.1016/j.jimonfin.2021.102352
Altermatt, Lukas and Iwasaki, Kohei and Wright, Randall (2021) Asset Pricing in Monetary Economies. Journal of International Money and Finance, 115. p. 102352. DOI https://doi.org/10.1016/j.jimonfin.2021.102352
Abstract
This paper reviews and extends recent research on liquidity and asset pricing. We start by asking how can intrinsically-worthless fiat money be valued in equilibrium? The literature on which we build formalizes how money is valued for its liquidity when exchange is hindered by various frictions. Once one sees how money can be priced above its fundamental value, it is clear that many other assets can be, too, if they also convey liquidity. We study under which conditions money can be valued if assets have fundamental value, how the liquidity values of money and assets interact, and how they are affected by changes in parameters such as acceptability, pledgeability, or the type of the asset.
Item Type: | Article |
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Uncontrolled Keywords: | asset pricing; liquidity; monetary economics |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Economics, Department of |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 16 Feb 2021 15:12 |
Last Modified: | 16 May 2024 20:42 |
URI: | http://repository.essex.ac.uk/id/eprint/29822 |
Available files
Filename: L_Altermatt.pdf
Licence: Creative Commons: Attribution-Noncommercial-No Derivative Works 3.0